Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

 
Author/Editor: Chan-Lau, Jorge A. ; Ivaschenko, Iryna V.
 
Publication Date: September 01, 2002
 
Electronic Access: Free Full text (PDF file size is 866KB).
Use the free Adobe Acrobat Reader to view this PDF file

 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the "tech bubble" period, and the "stock market correction" period. Hong Kong SAR , Japan, and Singapore also were important spillover sources within the Asian region and affected United States to a lesser degree during the "stock market correction" period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the "tech bubble" period.
 
Series: Working Paper No. 02/154
Subject(s): Prices | United States | Hong Kong SAR | Japan | Malaysia | Singapore | Stock markets | Economic models | Hong Kong Special Administrative Region of China

Author's Keyword(s): Price spillovers | volatility spillovers | asymmetric GARCH models | stock markets | United States | Asia
 
English
Publication Date: September 01, 2002
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA1542002 Pages: 30
Price:
US$15.00 (Academic Rate:
US$15.00 )
 
Price Delivery Note: Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
 
Please address any questions about this title to publications@imf.org